If you are using Windows Media Player, go to Tools > Options. Select the DVD tab and then click the Advanced Button. You should see what vendor is supplying the audio codec used to play back DVD audio as Windows XP doesn't support DVD playback on it's own, it comes from third party providers. For instance mine is InterVideo. What you are looking for is that there is a codec and this it is reported.
If you are worried about audio in general, you could also put in a CD and see if it plays it.
As for audio cables going from you DVD/CD drive to your sound card, that hasn't been needed for many years. The audio information is passed digitally to your sound card. DVD's in specific require that the audio and video streams be decoded by whatever codec your system is using. If you are referring to the an audio jack on the DVD player itself, you won't hear DVD audio there, because it needs to be decoded first and that is done by your computer and not the drive itself. You should hear regular CD audio there though.
If you have any sort of codec problem, you can try a program call GSpot (I know funny name). It can help troubleshoot problems with codecs, and I identify what stream is using which codec.